FriesischScott / UncertaintyQuantification.jl

Uncertainty Quantification in Julia
MIT License
31 stars 11 forks source link

Subset in high dimension to reduce alpha rejection #80

Open FriesischScott opened 2 years ago

FriesischScott commented 2 years ago

See paper by Zuev: https://doi.org/10.1016/j.probengmech.2010.11.008.

Results show a promising reduction in variance compared to standard Subset (MMH). it would be interesting to see how it compares to the CS and aCS variants.